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In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective.
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Bender, C. and Steiner, J. (2013) · 2013
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Brigo, D., Capponi, A., and Pallavicini, A. (2014) · 2014
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Hutzenthaler, M., Jentzen, A., and Noll, M. (2014) · 2014
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Risk estimation via regression
Broadie, M., Du, Y., and Moallemi, C. (2015) · 2015
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Batch normalization: Accelerating deep network training by reducing internal covariate shift
Ioffe, S. and Szegedy, C. (2015) · 2015
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Affine multiple yield curve models
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Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
Fujii, M., Takahashi, A., and Takahashi, M. (2019) · 2019
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Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
Ninomiya, S. and Shinozaki, Y. (2019) · 2019
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Neural networks for option pricing and hedging: a literature review
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